Pricing currency options based on fuzzy techniques

DOI10.1016/J.EJOR.2007.10.059MaRDI QIDQ958098zbMATH OpenOpenAlexFDO

Authors Fan-Yong Liu

Publication date 2 December 2008

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2007.10.059

zbMATH Keywords

financefuzzy setspricingcurrency options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

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• Fuzzy optimization of option pricing model and its application in land expropriation
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• Pricing currency option based on the extension principle and defuzzification via weighting parameter identification
• The fuzzy pricing of Asian options based on weighted possibilistic mean
• Application of Fuzzy Theory to Binomial Option Pricing Model

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